Abraham Trading Company LP
Abraham Diversified Program
Methodology: Systematic
Strategy: Trend / Momentum
Sub-Strategy: Medium Term
Market Focus: Diversified
Strategy Description
At its core, the Abraham Diversified Program is a systematic trend-following strategy, and has been ever since its inception in 1988. Originally the strategy utilized a single long-term trend-following model, but has since evolved to include shorter-term momentum and mean reversion components which help to diversify the program’s sources of return and dampen volatility. The strategy trades a broad and diverse group of markets, with more than 50% of long-term risk budgeted to commodity markets and the remainder to financials.
Risk Management
Risk is managed primarily via volatility filtering and position sizing. The program’s volatility filter evaluates the strength of trends versus recent volatility, and seeks to avoid trades where the potential risk/reward profile is unattractive. Individual markets are assigned dynamic position limits based upon recent volatility and correlations to other markets. This maximum position size can only be reached if all of the signals associated with that market are pointing in the same direction, and the program‚ as risk/reward filter indicates that the trade is favorable. Position sizes will be reduced if volatility and/or correlations increase, or if the trade‚ as expected return declines relative to recent volatility.
General Information
Management Fee: 2.00% Typical Trade Duration: 3 Weeks
Performance Fee: 20.00% Round Turns per Million: 1,700
Manager Assets: $219,450,000 Typical Margin‐to‐Equity: 5-15%
Strategy Assets: $0 Managed Account Minimum: $2,000,000
Performance Statistics
Date Range: 01/88 – 07/19 Maximum Drawdown: -35.08%
Annualized ROR: 13.08% Sharpe Ratio (0% RFR): 0.46
Standard Deviation: 28.67% Correlation to S&P 500: -0.06
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · Abraham Trading Company LP
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
